Economic Policy Uncertainty and Stock Market Spillovers: Case of Selected CEE Markets

Mathematics

Zrinka Orlović¹  Tihana Škrinjarić² 

[1] Department of Managerial Economics, Faculty of Economics and Business, University of Zagreb, Trg J. F. Kennedyja 6, 10000 Zagreb, Croatia;Department of Mathematics, Faculty of Economics and Business, University of Zagreb, Trg J. F. Kennedyja 6, 10000 Zagreb, Croatia;

关键词: economic policy uncertainty;    spillover index;    emerging stock markets;    dynamic analysis;   

DOI  :  10.3390/math8071077

来源: DOAJ

【 摘 要 】

Rising political and economic uncertainty over the world affects all participants on different markets, including stock markets. Recent research has shown that these effects are significant and should not be ignored. This paper estimates the spillover effects of shocks in the economic policy uncertainty (EPU) index and stock market returns and risks for selected Central and Eastern European markets (Bulgaria, Czech Republic, Estonia, Hungary, Lithuania, Poland, Croatia, Slovakia and Slovenia). Based on rolling estimations of the vector autoregression (VAR) model and the Spillover Indices, detailed insights are obtained on the sources of shock spillovers between the variables in the system. Recommendations are given based on the results both for policymakers and international investors. The contribution of the paper consists of the dynamic estimation approach, alongside allowing for the feedback relationship between the variables of interest, as well as examining the mentioned spillovers for the first time for majority of the observed countries.

【 授权许可】

Unknown